Lisa R. Goldberg

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A portfolio credit derivative is a contingent claim on the aggregate loss of a portfolio of credit sensitive securities such as bonds and credit swaps. We propose an affine point process as a dynamic model of portfolio loss. The recovery at each default is random and events are governed by an intensity that is driven by affine jump diffusion risk factors.(More)
Maximum drawdown, the largest cumulative loss from peak to trough, is one of the most widely used indicators of risk in the fund management industry, but one of the least developed in the context of probabilistic risk metrics. We formalize drawdown risk as Conditional Expected Drawdown (CED), which is the tail mean of maximum drawdown distributions. We show(More)
This paper analyzes a family of multivariate point process models of correlated event timing whose arrival intensity is driven by an affine jump diffusion. The components of an affine point process are self-and cross-exciting, and facilitate the description of complex event dependence structures. Ordinary differential equations characterize the transform of(More)
Risk analysis involves gaining deeper insight into the sources of risk and evaluating whether these risks accurately reflect the views of the portfolio manager. In this paper we show how to extend standard volatility analytics to shortfall, a measure of extreme risk. Using two examples, we show how shortfall provides a more complete and intuitive picture of(More)
A multi-name credit derivative is a security tied to an underlying portfolio of corporate bonds or other credit-sensitive securities. It enables investors to buy and sell protection against the default losses in the portfolio. The value of a multi-name derivative depends on the distribution of portfolio loss at multiple horizons. Intensity-based models of(More)
Previous research suggests that morphology and arborization of dendritic spines change as a result of fear conditioning in cortical and subcortical brain regions. This study uniquely aims to delineate these structural changes in the basolateral amygdala (BLA) after both fear conditioning and fear extinction. C57BL/6 mice acquired robust conditioned fear(More)
We describe the relationship between physical probability of default and prices of credit sensitive securities. Our starting point is I 2 , a first passage time model of default based on incomplete information. The I 2 model incorporates the unpredictable nature of default and thereby accounts for positive short spreads and the abrupt drops in prices of(More)